The Pricing of Short-Lived Options When Price Uncertainty Is Log-Symmetric Stable
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https://www.nber.org/papers/w0264
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资源简介：
The well-known option pricing formula of Black and Scholes depends upon the assumption that price fluctuations are log-normal. However, this formula greatly underestimates the value of options with a low probability of being exercised if, as appears to be more nearly the case in most markets, price
广为人知的布莱克-斯科尔斯（Black and Scholes）期权定价公式，其成立依赖于价格波动服从对数正态分布的假设。
然而，倘若正如多数市场中更为贴近该假设的实际情形一般，价格[原文内容截断]，该公式会大幅低估行权概率较低的期权的价值。
提供机构：
美国国家经济研究局
创建时间：
1978-07-01
